Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
Year of publication: |
2023
|
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Authors: | MacKay, Anne ; Vachon, Marie-Claude ; Cui, Zhenyu |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 7/8, p. 1055-1078
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Subject: | American options | Continuous-time Markov chain | Heston model | Optimal stopping | Stochastic volatility | Variable annuities | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Private Altersvorsorge | Private retirement provision |
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